explaining the relationship between forecast uncertainty and analyst dispersion. Under this framework, we propose a new measure … of earnings forecast uncertainty as the sum of dispersion among analysts and the variance of mean forecast errors … private information. Hence, it circumvents the limitations of other commonly-used proxies for forecast uncertainty in the …

This study examines the sources of uncertainty in predicting government tax revenues in Israel. In the first stage, we … basis of available information at the time the budget is prepared; we find that the forecast error based is six times … greater than the error based on ex-post projection. These results imply that the forecast error predominantly reflects …

Sample covariance matrices tend to underestimate the risk of optimized portfolios. In this article, we identify special …

A crucial but often ignored element of inflation expectations is the amount of perceived inflation risk. This paper … estimates the degree of uncertainty and asymmetry in the probability forecasts of the Survey of Professional Forecasters (SPF …

We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …-year-ahead. The latter has recently attracted considerable attention due to the different properties of short term risk and long run … risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …